Model of counterparty risk with geometric attenuation and valuation of CDS  

作　　者：Bai Yunfen1,2 Hu Xinhua3,4 Ye Zhongxing1(1 Department of Mathematics, Shanghai Jiaotong University, Shanghai 200240, China)(2 Department of Mathematics, Shijiazhuang College, Shijiazhuang 050035, China)(3 Guanghua Institute of Management, Peking University, Beijing 100032, China)(4 Postdoctoral Workstation of ICBC, Beijing 100036, China) 

出　　处：《Journal of Southeast University(English Edition)》2008年第S1期196-198,共3页东南大学学报（英文版）

基　　金：The National Basic Research Program of China (973 Program)(No.2007CB814903);the National Natural Science Foundationof China (No.70671069)

摘　　要：To investigate the impact of microstructure interdependency of a counterparty explicitly, a geometric function is introduced in one firm's default intensity to reflect the attenuation behavior of the impact of its counterparty firm's default. The general joint distribution and marginal distributions of default times are derived by employing the change of measure. The fair premium of a vanilla CDS (credit default swap) is obtained in continuous and discrete contexts, respectively. The swap premium in a discrete context is similar to the accumulated interest during the period between two payment days, and the short rate is the swap rate in a continuous context.To investigate the impact of microstructure interdependency of a counterparty explicitly, a geometric function is introduced in one firm s default intensity to reflect the attenuation behavior of the impact of its counterparty firm s default. The general joint distribution and marginal distributions of default times are derived by employing the change of measure. The fair premium of a vanilla CDS (credit default swap) is obtained in continuous and discrete contexts, respectively. The swap premium in a discr...

关 键 词：counterparty risk dependent default attenuation function change of measure credit default swap 

分 类 号：F840[经济管理—保险]